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The Impact of Multiperiod Planning Horizons on Portfolios and Asset Prices
Hillebrand, Marten - Society for Computational Economics - SCE - 2004
result from classical CAPM to the case with multiperiod planning horizons by proving that under homogeneous beliefs …
Persistent link: https://www.econbiz.de/10005706546
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Adjusting the CAPM for Threshold Effects: An Application to Food and Agribusiness Stocks
Wilson, Christine; Featherstone, Allen - Department of Agricultural Economics, Purdue University - 2006
The dynamics in stock returns and the market return for 21 food and agribusiness firms are estimated in a threshold switching-regression framework. Threshold adjustment levels and capital asset pricing model risk parameters are estimated and tested. Results indicate risk parameters differ for...
Persistent link: https://www.econbiz.de/10005771575
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EMU and European Stock Market Integration
Hardouvelis, Gikas A; Malliaropoulos, Dimitrios; … - C.E.P.R. Discussion Papers - 1999
The paper examines whether or not the convergence process of European economies towards Economic and Monetary Union has led to increased integration of European stock markets. We estimate a conditional asset pricing model, which allows for a time-varying degree of integration that measures the...
Persistent link: https://www.econbiz.de/10005788933
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An Empirical Investigation of Stock Market Behavior in the Middle East and North Africa
Cheng, Ai-ru; Jahan-Parvar, Mohammad R.; Rothman, Philip - Volkswirtschaftliche Fakultät, … - 2009
international CAPM; the constant-parameter intertemporal CAPM; and a Markov-switching intertemporal CAPM which allows for the degree …
Persistent link: https://www.econbiz.de/10005789590
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Equilibrium of Real Financial Markets: Theory and Experimental Evidence
Bossaerts, Peter - C.E.P.R. Discussion Papers - 2004
The theory and the data in this Paper challenge the view that there is no structure in prices and allocations when … markets are off equilibrium. Starting from the observation that price-taking usually applies only to small orders, a theory of … imbalance. In the context of mean-variance preferences, the theory predicts that a security’s price will correlate with excess …
Persistent link: https://www.econbiz.de/10005792218
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Optimal Financial Market Integration and Security Design
Acharya, Viral V; Bisin, Alberto - C.E.P.R. Discussion Papers - 2003
We study two-period pure-exchange Capital Asset Pricing Model (CAPM) economies, for given degrees of incompleteness of …
Persistent link: https://www.econbiz.de/10005792424
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A new Model for Stock Price Movements
Venier, Guido - Volkswirtschaftliche Fakultät, … - 2007
and to discuss the implications for economic theory with respect to market efficiency and option pricing. …
Persistent link: https://www.econbiz.de/10005836494
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Time Varying Volatility and the Cross-Section of Equity Returns  
Brooks, Chris; Li, Xiafei; Miffre, Joelle - Henley Business School, University of Reading - 2009
A vast literature has documented the value premium and the small firm effect as pervasive stylized facts in empirical asset pricing and yet research has been largely unable to provide entirely convincing explanations of why these phenomena exist. This paper demonstrates that the cross-sectional...
Persistent link: https://www.econbiz.de/10008542375
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Market Proxies, Correlation, and Relative Mean-Variance Efficiency: Still Living with the Roll Critique
Todd, Prono - Volkswirtschaftliche Fakultät, … - 2009
A test of the CAPM is developed conditional on a prior belief about the correlation between the true market return and … the inefficiency of the proxy. An extension of the proposed test to a CAPM with conditioning information links …
Persistent link: https://www.econbiz.de/10008543524
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A Class of Models satisfying a Dynamical Version of the CAPM.
Napp, Clotilde; Jouini, Elyès - Université Paris-Dauphine - 2003
Under a comonotonicity assumption between aggregate dividends and the market portfolio, the CCAPM formula becomes more tractable and more easily testable. In this paper, we provide theoretical justifications for such an assumption.
Persistent link: https://www.econbiz.de/10008532425